Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | -0.2986 |
| Annualized Std Dev | 0.6026 |
| Annualized Sharpe (Rf=0%) | -0.4955 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 3367.0000 |
| NAs | 1.0000 |
| Minimum | -0.4482 |
| Quartile 1 | -0.0179 |
| Median | -0.0015 |
| Arithmetic Mean | -0.0007 |
| Geometric Mean | -0.0014 |
| Quartile 3 | 0.0161 |
| Maximum | 0.3104 |
| SE Mean | 0.0007 |
| LCL Mean (0.95) | -0.0019 |
| UCL Mean (0.95) | 0.0006 |
| Variance | 0.0014 |
| Stdev | 0.0380 |
| Skewness | -0.5536 |
| Kurtosis | 16.9341 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0270 |
| Gain Deviation | 0.0289 |
| Loss Deviation | 0.0292 |
| Downside Deviation (MAR=210%) | 0.0316 |
| Downside Deviation (Rf=0%) | 0.0273 |
| Downside Deviation (0%) | 0.0273 |
| Maximum Drawdown | 0.9971 |
| Historical VaR (95%) | -0.0491 |
| Historical ES (95%) | -0.0875 |
| Modified VaR (95%) | -0.0559 |
| Modified ES (95%) | -0.0758 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2008-10-28 | 2021-02-17 | NA | -0.9971 | 3120 | 3097 | NA |
| 2008-10-10 | 2008-10-13 | 2008-10-24 | -0.4649 | 11 | 2 | 9 |
| 2008-09-18 | 2008-09-25 | 2008-10-07 | -0.3693 | 14 | 6 | 8 |
| 2008-02-07 | 2008-05-16 | 2008-08-18 | -0.3576 | 134 | 70 | 64 |
| 2007-11-27 | 2007-12-06 | 2008-01-17 | -0.2457 | 36 | 8 | 28 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2007 | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | -1.4 | 2.8 | 1.4 |
| 2008 | -5.4 | 5.2 | -7.9 | -2.3 | -1.6 | 3.2 | 1.7 | 1.9 | 1.2 | -1.2 | 17.8 | -2.4 | 8.3 |
| 2009 | 1.9 | 2.9 | -5.8 | -2.7 | -8.9 | -3.7 | -1.1 | 3.7 | 5.5 | 9.7 | -5.7 | -0.5 | -6.2 |
| 2010 | -5.7 | -3.6 | -5.4 | 2.4 | 3.7 | -1.4 | -0.9 | -7.1 | -3 | -2.2 | -5.8 | -1.4 | -27.1 |
| 2011 | -4.9 | 2.2 | -3.1 | -1.3 | 3.7 | -2.5 | 0.1 | 1.1 | 9.7 | 4.7 | 0.6 | -0.2 | 9.7 |
| 2012 | -4.4 | -1.8 | -1.4 | -1.4 | 5 | -8.9 | -0.3 | -1.7 | -2 | -3.4 | 0.1 | -3 | -21.5 |
| 2013 | -1.3 | -0.6 | 1.9 | 2.2 | 3.6 | -0.7 | -3.6 | -1.5 | -3.9 | 0 | -2 | -1.6 | -7.5 |
| 2014 | -0.3 | 1.6 | -2.2 | -0.3 | 2.8 | -1.9 | -1.2 | 0.4 | 4.1 | -0.9 | 3.5 | 0.1 | 5.4 |
| 2015 | 5.2 | 0.1 | -2.4 | -1.2 | 0.6 | 0 | -2.2 | 7.8 | -0.8 | -0.3 | -1.6 | 0.4 | 5.3 |
| 2016 | 1.6 | -7.2 | 0.6 | 0.8 | 0.2 | -1.8 | 0.4 | -1.4 | -1.2 | 1.6 | 2.2 | 1.5 | -3 |
| 2017 | -0.3 | -2.9 | 1.6 | -1.1 | -1.8 | -1 | -0.7 | -1.5 | -2.2 | -1 | 1.1 | -0.9 | -10.3 |
| 2018 | 2.7 | 0.5 | -4.1 | 1 | -2.6 | -3.3 | 1.5 | -1.3 | -0.1 | -7 | 0.5 | 0.9 | -11.1 |
| 2019 | 1.5 | 0 | -3.2 | 1.5 | -0.7 | -2.5 | 4 | -1.7 | 1.4 | -3.2 | 3 | -0.4 | -0.7 |
| 2020 | 4.1 | 0.5 | 8.4 | 7.4 | -4.7 | -2.6 | 1.6 | -3.4 | -2 | 2.3 | -3.8 | 0.1 | 7.3 |
| 2021 | -5.5 | -5 | -2 | NA | NA | NA | NA | NA | NA | NA | NA | NA | -12 |
Row
Price Chart
# tidytable [6 × 21]
datadate Close tic.x spy ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y gld ret.y ret_1W.y
<date> <dbl> <chr> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <chr> <dbl> <dbl> <dbl>
1 2007-11-01 1812. SPY 151. -0.0234 -0.0053 -0.0179 0.0503 0.0961 0.330 0.689 GLD 77.9 -0.0088 0.025
2 2007-11-02 1784. SPY 151. 0.0011 -0.0158 -0.0183 0.0341 0.105 0.332 0.708 GLD 79.8 0.0244 0.0275
3 2007-11-05 1904. SPY 150. -0.0076 -0.0265 -0.0372 0.0154 0.097 0.305 0.662 GLD 79.8 -0.001 0.0209
4 2007-11-06 1765 SPY 152. 0.0135 -0.0065 -0.019 0.015 0.114 0.305 0.669 GLD 81.4 0.0211 0.0527
5 2007-11-07 1900 SPY 148. -0.0274 -0.0436 -0.0548 0.0173 0.0712 0.261 0.610 GLD 82.2 0.0099 0.046
6 2007-11-08 1886. SPY 147. -0.0051 -0.0256 -0.058 0.0169 0.0617 0.257 0.582 GLD 82.2 -0.0001 0.0552
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>Row
Rolling Performance Chart
Row
Snail Trail Chart
